Approximately $384.0 Million of Structured Securities Affected
New York, October 07, 2010 -- Moody's Investors Service (Moody's) downgraded the ratings of four classes
and affirmed nine classes of Credit Suisse First Boston Mortgage Securities
Corp., Commercial Mortgage Pass-Through Certificates,
Series 2001-CF2 as follows:
Cl. A-4, Affirmed at Aaa (sf); previously on
Apr 23, 2001 Definitive Rating Assigned Aaa (sf)
Cl. B, Affirmed at Aaa (sf); previously on Oct 5,
2006 Upgraded to Aaa (sf)
Cl. C, Affirmed at Aaa (sf); previously on Dec 20,
2007 Upgraded to Aaa (sf)
Cl. D, Affirmed at Aa1 (sf); previously on Mar 26,
2008 Upgraded to Aa1 (sf)
Cl. E, Affirmed at Aa3 (sf); previously on Mar 26,
2008 Upgraded to Aa3 (sf)
Cl. F, Affirmed at A3 (sf); previously on Mar 26,
2008 Upgraded to A3 (sf)
Cl. G, Affirmed at Baa2 (sf); previously on Mar 26,
2008 Upgraded to Baa2 (sf)
Cl. H, Downgraded to B1 (sf); previously on Apr 23,
2001 Definitive Rating Assigned Ba1 (sf)
Cl. J, Downgraded to Caa3 (sf); previously on Sep 12,
2005 Downgraded to B2 (sf)
Cl. K, Downgraded to C (sf); previously on Sep 12,
2005 Downgraded to B3 (sf)
Cl. L, Downgraded to C (sf); previously on Mar 26,
2008 Downgraded to Caa3 (sf)
Cl. M, Affirmed at C (sf); previously on Mar 26,
2008 Downgraded to C (sf)
Cl. A-X, Affirmed at Aaa (sf); previously on
Apr 23, 2001 Definitive Rating Assigned Aaa (sf)
The downgrades are due to higher expected losses for the pool resulting
from realized and anticipated losses from specially serviced and troubled
loans. The affirmations are due to key parameters, including
Moody's loan to value (LTV) ratio, Moody's stressed
debt service coverage ratio (DSCR) and the Herfindahl Index (Herf),
remaining within acceptable ranges. Based on our current base expected
loss, the credit enhancement levels for the affirmed classes are
sufficient to maintain the current ratings.
Moody's rating action reflects a cumulative base expected loss of
8% of the current balance. At last review, Moody's
cumulative base expected loss was 2%. Moody's stressed
scenario loss is 11% of the current balance. Moody's
provides a current list of base and stress scenario losses for conduit
and fusion CMBS transactions on moodys.com at http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
Depending on the timing of loan payoffs and the severity and timing of
losses from specially serviced loans, the credit enhancement level
for investment grade classes could decline below the current levels.
If future performance materially declines, the expected level of
credit enhancement and the priority in the cash flow waterfall may be
insufficient for the current ratings of these classes.
Moody's analysis reflects a forward-looking view of the likely
range of collateral performance over the medium term. From time
to time, Moody's may, if warranted, change these
expectations. Performance that falls outside an acceptable range
of the key parameters may indicate that the collateral's credit
quality is stronger or weaker than Moody's had anticipated during
the current review. Even so, deviation from the expected
range will not necessarily result in a rating action. There may
be mitigating or offsetting factors to an improvement or decline in collateral
performance, such as increased subordination levels due to amortization
and loan payoffs or a decline in subordination due to realized losses.
Primary sources of assumption uncertainty are the current stressed macroeconomic
environment and continuing weakness in the commercial real estate and
lending markets. Moody's currently views the commercial real
estate market as stressed with further performance declines expected in
the industrial, office, and retail sectors. Hotel performance
has begun to rebound, albeit off a very weak base. Multifamily
has also begun to rebound reflecting an improved supply / demand relationship.
The availability of debt capital is improving with terms returning towards
market norms. Job growth and housing price stability will be necessary
precursors to commercial real estate recovery. Overall, Moody's
central global scenario remains "hook-shaped" for 2010
and 2011; we expect overall a sluggish recovery in most of the world's
largest economies, returning to trend growth rate with elevated
fiscal deficits and persistent unemployment levels.
The principal methodologies used in rating Credit Suisse First Boston
Mortgage Securities Corp., Series 2001-CF2 were "CMBS:
Moody's Approach to Rating Conduit Transactions" published in September
2000 and "Moody's Approach to Rating Large Loan/Single Borrower
Transactions" published in July 2000. Other methodologies and factors
that may have been considered in the process of rating this issuer can
also be found on Moody's website.
In addition to methodologies and research available on moodys.com,
Moody's publishes a weekly summary of structured finance credit,
ratings and methodologies, available to all registered users of
our website, at www.moodys.com/SFQuickCheck.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.50 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 level are driven
by property type, Moody's actual and stressed DSCR,
and Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit
model results at the B2 level are driven by a paydown analysis based on
the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity,
is a primary determinant of pool level diversity and has a greater impact
on senior certificates. Other concentrations and correlations may
be considered in our analysis. Based on the model pooled credit
enhancement levels at Aa2 and B2, the remaining conduit classes
are either interpolated between these two data points or determined based
on a multiple or ratio of either of these two data points. For
fusion deals, the credit enhancement for loans with investment-grade
credit estimates is melded with the conduit model credit enhancement into
an overall model result. Fusion loan credit enhancement is based
on the credit estimate of the loan which corresponds to a range of credit
enhancement levels. Actual fusion credit enhancement levels are
selected based on loan level diversity, pool leverage and other
concentrations and correlations within the pool. Negative pooling,
or adding credit enhancement at the credit estimate level, is incorporated
for loans with similar credit estimates in the same transaction.
In cases where the Herf falls below 20, Moody's also employs
the large loan/single borrower methodology. This methodology uses
the excel-based Large Loan Model v 8.0 and then reconciles
and weights the results from the two models in formulating a rating recommendation.
The large loan model derives credit enhancement levels based on an aggregation
of adjusted loan level proceeds derived from Moody's loan level
LTV ratios. Major adjustments to determining proceeds include leverage,
loan structure, property type, and sponsorship. These
aggregated proceeds are then further adjusted for any pooling benefits
associated with loan level diversity, other concentrations and correlations.
Moody's ratings are determined by a committee process that considers
both quantitative and qualitative factors. Therefore, the
rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance
of commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through two sets of quantitative
tools -- MOST® (Moody's Surveillance Trends) and CMM
(Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review
is summarized in a press release dated March 26, 2008. Please
see the ratings tab on the issuer / entity page on moodys.com for
the last rating action and the ratings history.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or financial
instruments related to the monitoring of this transaction in the past
As of the September 17, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 66% to $384.01
million from $1.13 billion at securitization. The
Certificates are collateralized by 70 mortgage loans ranging in size from
less than 1% to 11% of the pool, with the top ten
loans representing 41% of the pool. Six loans, representing
24% of the pool, have defeased and are collateralized with
U.S. Government securities. Defeasance at last review
represented 37% of the pool.
Twenty-eight loans, representing 25% of the pool,
are on the master servicer's watchlist. The watchlist includes
loans which meet certain portfolio review guidelines established as part
of the CRE Finance Council (CREFC) monthly reporting package. As
part of our ongoing monitoring of a transaction, Moody's reviews
the watchlist to assess which loans have material issues that could impact
Twenty-seven loans have been liquidated from the pool since securitization,
resulting in an aggregate $30.1 million loss (32%
loss severity on average). Currently, 13 loans, representing
13% of the pool, are in special servicing. The master
servicer has recognized an aggregate $6.9 million appraisal
reduction for five of the specially serviced loans. Moody's
has estimated an aggregate $24.8 million loss (50%
expected loss on average) for the specially serviced loans.
Moody's has assumed a high default probability for seven poorly
performing loans representing 4% of the pool. Moody's
has estimated a $3.2 million loss (20% expected loss
based on a 50% probability default) from the troubled loans.
Moody's was provided with full year 2008 and 2009 operating results
for 98% and 80% of the pool, respectively.
Excluding specially serviced and troubled loans, Moody's weighted
average LTV is 72% compared to 80% at Moody's prior
review. Moody's net cash flow reflects a weighted average
haircut of 13.2% to the most recently available net operating
income. Moody's value reflects a weighted average capitalization
rate of 9.7%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.64X and 1.56X, respectively,
compared to 1.39X and 1.44X at last review. Moody's
actual DSCR is based on Moody's net cash flow (NCF) and the loan's
actual debt service. Moody's stressed DSCR is based on Moody's
NCF and a 9.25% stressed rate applied to the loan balance.
Moody's uses a variation of Herf to measure diversity of loan size,
where a higher number represents greater diversity. Loan concentration
has an important bearing on potential rating volatility, including
risk of multiple notch downgrades under adverse circumstances.
The credit neutral Herf score is 40. The pool has a Herf of 19
compared to 32 at Moody's prior review.
The top three performing conduit loans represent 22% of the pool.
The largest loan is the CNN Building Loan ($41.3 million
-- 10.7% of the pool), which is secured
by a 292,000 square foot (SF), 11-story office building
located in Washington, D.C. Built in 1990, the
facility is located in the Capital Hill submarket adjacent to Union Station.
As of June 2009, the property was 99% leased compared to
97% at last review. The building serves as the regional
headquarters of the CNN cable network, which occupies approximately
24% of the net rentable area (NRA) on a lease expiring in December
2020. Moody's LTV and stressed DSCR are 69% and 1.49
X, respectively, compared to 73% and 1.41X,
at last review.
The second largest loan is the 2001 York Road Loan ($28.1
million -- 7.3% of the pool), which
is secured by an 184,000 SF office building located in Oakbrook,
Illinois. As of September 2010, the property was 92%
leased compared to 100% at last review. Despite the decline
in occupancy, performance has improved due to increased rental revenues.
Moody's LTV and stressed DSCR 82% and 1.25X, respectively,
compared to 97% and 1.06X at last review.
The third largest loan is the Riverfront Plaza Loan ($16.0
million -- 4.2% of the pool), which
is secured by a 245,000 SF retail center located in Chicago,
Illinois. As of June 2010, the property was 99% leased,
the same as at last review. Moody's LTV and stressed DSCR 51%
and 2.02X, respectively, compared to 59% and
1.74X, respectively, at last review.
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, parties not involved in the ratings,
public information, confidential and proprietary Moody's Investors
Service information, and confidential and proprietary Moody's
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purpose of maintaining
a credit rating.
MOODY'S adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
MOODY'S considers to be reliable including, when appropriate,
independent third-party sources. However, MOODY'S
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
Structured Finance Group
Moody's Investors Service
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
Moody's Investors Service
Moody's Downgrades Four and Affirms Nine CMBS Classes of CSFB 2001-CF2
250 Greenwich Street
New York, NY 10007